This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we … measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and … we construct the systematic ambiguity factors from the universe of S&P 500 stocks. We estimate ambiguity betas for long …

Ambiguity aversion in dynamic models is motivated by the presence of unknown time-varying features, which agents do not … ambiguity. We show that in such contexts robust estimation methods are essential for (i) limiting the sensitivity of robust … robust estimation methodology, applicable to many economic settings of ambiguity. In the robust portfolio problem, unknown …

This paper addresses the question of optimal currency exposure for a risk-and-ambiguity-avers international investor. A … robust mean-variance model with smooth ambiguity preferences is used to derive the optimal currency exposure. In the … regression. Through the lens of these results, we demonstrate that our ambiguity-based model offers a new explanation of the home …